Optimal control of stochastic system with Fractional Brownian Motion

Abstract

In this paper, we introduce a class of stochastic harvesting population system with Fractional Brownian Motion (FBM), which is still unclear when the stochastic noise has the character of memorability. Stochastic optimal control problems with FBM can not be studied using classical methods, because FBM is neither a Markov pocess nor a semi-martingale. When the external environment impact on the system of FBM, the necessary and sufficient conditions for the optimization are offered through the stochastic maximum principle, Hamilton function and Itô formula in our work. To illustrate our study, we provide an example to demonstrate the obtained theoretical results, which is the expansion of certainty population system.

Keywords

• optimal harvesting control
• itô formula
• fractional brownian motion (fbm)
• maximum principle